Стратегия BTC Difficulty Adjustments

using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// BTC Difficulty Adjustments Strategy - uses rate of change indicator
/// to detect momentum shifts and trade accordingly.
/// </summary>
public class BtcDifficultyAdjustmentsStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rocPeriod;
	private readonly StrategyParam<int> _smaPeriod;

	private decimal _prevRoc;
	private decimal _prevSma;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RocPeriod { get => _rocPeriod.Value; set => _rocPeriod.Value = value; }
	public int SmaPeriod { get => _smaPeriod.Value; set => _smaPeriod.Value = value; }

	public BtcDifficultyAdjustmentsStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_rocPeriod = Param(nameof(RocPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("ROC Period", "Rate of change period", "Indicators");

		_smaPeriod = Param(nameof(SmaPeriod), 100)
			.SetGreaterThanZero()
			.SetDisplay("SMA Period", "Trend filter SMA period", "Indicators");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRoc = 0m;
		_prevSma = 0m;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var roc = new RateOfChange { Length = RocPeriod };
		var sma = new SimpleMovingAverage { Length = SmaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(roc, sma, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, sma);
			DrawOwnTrades(area);
		}

		var rocArea = CreateChartArea();
		if (rocArea != null)
		{
			DrawIndicator(rocArea, roc);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal rocValue, decimal smaValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (_prevRoc == 0m || _prevSma == 0m)
		{
			_prevRoc = rocValue;
			_prevSma = smaValue;
			return;
		}

		// Buy when ROC crosses above zero and price above SMA
		if (_prevRoc <= 0m && rocValue > 0m && candle.ClosePrice > smaValue && Position <= 0)
		{
			BuyMarket();
		}
		// Sell when ROC crosses below zero and price below SMA
		else if (_prevRoc >= 0m && rocValue < 0m && candle.ClosePrice < smaValue && Position >= 0)
		{
			SellMarket();
		}

		_prevRoc = rocValue;
		_prevSma = smaValue;
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import RateOfChange, SimpleMovingAverage
from StockSharp.Algo.Strategies import Strategy


class btc_difficulty_adjustments_strategy(Strategy):
    def __init__(self):
        super(btc_difficulty_adjustments_strategy, self).__init__()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("Candle Type", "Type of candles to use", "General")
        self._roc_period = self.Param("RocPeriod", 50) \
            .SetDisplay("ROC Period", "Rate of change period", "Indicators")
        self._sma_period = self.Param("SmaPeriod", 100) \
            .SetDisplay("SMA Period", "Trend filter SMA period", "Indicators")
        self._prev_roc = 0.0
        self._prev_sma = 0.0

    @property
    def candle_type(self):
        return self._candle_type.Value
    @property
    def roc_period(self):
        return self._roc_period.Value
    @property
    def sma_period(self):
        return self._sma_period.Value

    def OnReseted(self):
        super(btc_difficulty_adjustments_strategy, self).OnReseted()
        self._prev_roc = 0.0
        self._prev_sma = 0.0

    def OnStarted2(self, time):
        super(btc_difficulty_adjustments_strategy, self).OnStarted2(time)
        roc = RateOfChange()
        roc.Length = self.roc_period
        sma = SimpleMovingAverage()
        sma.Length = self.sma_period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(roc, sma, self.OnProcess).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, sma)
            self.DrawOwnTrades(area)
            roc_area = self.CreateChartArea()
            if roc_area is not None:
                self.DrawIndicator(roc_area, roc)

    def OnProcess(self, candle, roc_value, sma_value):
        if candle.State != CandleStates.Finished:
            return
        roc_val = float(roc_value)
        sma_val = float(sma_value)
        if self._prev_roc == 0 or self._prev_sma == 0:
            self._prev_roc = roc_val
            self._prev_sma = sma_val
            return

        if self._prev_roc <= 0 and roc_val > 0 and float(candle.ClosePrice) > sma_val and self.Position <= 0:
            self.BuyMarket()
        elif self._prev_roc >= 0 and roc_val < 0 and float(candle.ClosePrice) < sma_val and self.Position >= 0:
            self.SellMarket()

        self._prev_roc = roc_val
        self._prev_sma = sma_val

    def CreateClone(self):
        return btc_difficulty_adjustments_strategy()